Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0026 |
| Annualized Std Dev | 0.2386 |
| Annualized Sharpe (Rf=0%) | 0.0108 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3228.0000 |
| NAs | 1.0000 |
| Minimum | -0.1290 |
| Quartile 1 | -0.0066 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0072 |
| Maximum | 0.1460 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | -0.4115 |
| Kurtosis | 11.1762 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0103 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0156 |
| Downside Deviation (Rf=0%) | 0.0110 |
| Downside Deviation (0%) | 0.0110 |
| Maximum Drawdown | 0.6390 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0374 |
| Modified VaR (95%) | -0.0229 |
| Modified ES (95%) | -0.0419 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-20 | 2008-11-20 | 2010-09-24 | -0.6390 | 589 | 130 | 459 |
| 2010-11-05 | 2020-03-23 | NA | -0.4896 | 2610 | 2359 | NA |
| 2010-10-14 | 2010-10-19 | 2010-11-02 | -0.0350 | 14 | 4 | 10 |
| 2010-09-27 | 2010-09-27 | 2010-09-30 | -0.0099 | 4 | 1 | 3 |
| 2010-10-04 | 2010-10-04 | 2010-10-05 | -0.0059 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | -0.7 | -2.4 | -0.8 | -0.7 | 0.7 | 3.7 | -7.1 | 1.7 | -5.8 |
| 2009 | -2.6 | -4.6 | 3 | 0.3 | 4.3 | 1.6 | 0.2 | -1 | -2.5 | -3.1 | 2.4 | -0.1 | -2.6 |
| 2010 | 2 | 2.1 | 1.8 | -1.6 | -1.9 | 0.1 | 1 | 2.5 | 1.6 | 0.2 | 2.2 | 0.5 | 10.8 |
| 2011 | 1.3 | -0.7 | 1.6 | -0.2 | -1 | 1.1 | 0.3 | -0.4 | -4.7 | -2.1 | -1.1 | 0.3 | -5.7 |
| 2012 | 2.6 | 1.6 | 1.6 | 0 | -2.7 | 3.3 | 0.8 | 1 | 1.1 | 1.4 | -0.1 | 1.8 | 12.9 |
| 2013 | 0.9 | 0.5 | -0.5 | -0.7 | -1.6 | 1.5 | 1 | 0.6 | 1.9 | 0 | 1 | 0.4 | 5.1 |
| 2014 | 0.2 | -0.3 | 0.8 | 0.1 | -0.4 | 0.7 | 0.8 | 0.2 | -1.4 | 0.5 | -1.4 | 0.6 | 0.3 |
| 2015 | -1.9 | 0.6 | 1 | 0.7 | 0.2 | 0.4 | -0.1 | -2.2 | 0.4 | -0.1 | 0.3 | 0.1 | -0.8 |
| 2016 | -0.5 | 2.8 | 0.6 | -0.1 | 0.2 | 0.7 | -0.1 | 0.4 | 1.4 | -0.3 | -1.4 | -0.3 | 3.3 |
| 2017 | 0.5 | 1.4 | -0.2 | 0.5 | 0.6 | 1 | 0.5 | 0.8 | 0.7 | 0.1 | -1.1 | 0.8 | 5.7 |
| 2018 | -0.5 | 0.3 | 1.5 | -0.7 | 0.5 | 1.6 | -0.1 | 1 | 0.3 | 3.6 | -0.1 | 0.1 | 7.8 |
| 2019 | -0.7 | 0.4 | 1.4 | -0.6 | 0.7 | 1.1 | -1.5 | 0.2 | -1.1 | 1 | -0.9 | 0.8 | 0.7 |
| 2020 | -1.2 | -1.4 | -3 | -3 | 2.2 | 1.3 | -0.1 | 0.9 | 1.2 | -0.9 | 1.8 | -0.3 | -2.7 |
| 2021 | 1.5 | 2.1 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
